Central Economics and Mathematics Institute

About: Central Economics and Mathematics Institute is a facility organization based out in Moscow, Russia. It is known for research contribution in the topics: Population & Foreign-exchange reserves. The organization has 297 authors who have published 580 publications receiving 6449 citations. The organization is also known as: Federal State Institution of Science Central Economics and Mathematics Institute of the Russian Academy of Sciences.

Hedging of Contingent Claims under Transaction Costs

Abstract: We consider a general framework covering models of financial markets with transaction costs. Assuming that the solvency cones are proper and evolve in time continuously we prove a hedging theorem describing the set of initial endowments allowing to hedge a vector-valued contingent claim by a self-financing portfolio.

Democratization, quality of institutions and economic growth

Abstract: There are two innovations in the paper as compared to the previous literature on democracy and growth. First, we consider not only the level of democracy, but also changes in this level in the 1970s-1990s as measured by increments of Freedom House political rights indices. Second, the distinction is made between democracy and law and order (order based on legal rules); the latter is measured by the rule of law, investors' risk and corruption indices. We discuss two interconnected threshold hypotheses: (1) in countries where law and order is strong enough, democratization stimulates economic growth, whereas in countries with poor law and order democratization undermines growth; (2) if democratization occurs under the conditions of poor law and order (so that illiberal democracy emerges), then shadow economy expands, quality of governance worsens, and macroeconomic policy becomes less prudent. We adduce a number of stylized facts to support our hypotheses. However our econometric findings are mixed: we report results that support the hypotheses as well as regressions that contradict them.

On the choice of measures of reliability and validity in the content-analysis of texts

Abstract: The paper discusses several reliability measures: Scott’s pi, Krippendorff’s alpha, free marginal adjustment (Bennett, Alpert and Goldstein’s $$S$$ ), Cohen’s kappa, and Perreault and Leigh’s $$I$$ and the assumptions on which they are based. It is suggested that correlation coefficients between, on one hand, the distribution of qualitative codes and, on the other hand, word co-occurrences and the distribution of the categories identified with the help of the dictionary based on substitution complement the other reliability measures. The paper shows that the choice of the reliability measure depends on the format of the text (stylistic versus rhetorical) and the type of reading (comprehension versus interpretation). Namely, Cohen’s kappa and Bennett, Alpert and Goldstein’s $$S$$ emerge as reliability measures particularly suited for perspectival reading of rhetorical texts. Outcomes of the content analysis of 57 texts performed by four coders with the help of computer program QDA Miner inform the analysis.

Normal approximations by Stein's method

Abstract: Stein's method for normal approximations is explained, with some examples and applications. In the study of the asymptotic distribution of the sum of dependent random variables, Stein's method may be a very useful tool. We have attempted to write an elementary introduction. For more advanced introductions to Stein's method, see Stein (1986), Barbour (1997) and Chen (1998).